Discussion paper DP9023 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees Stijn Van Nieuwerburgh Hanno Lustig Bryan Kelly 24 Jun 2012 Financial Economics E44 E60 G12 G13 G18 G21 G28 H23
Discussion paper DP8456 CDS Auctions Igor Makarov Mikhail Chernov Alexander Gorbenko 1 Jun 2011 Financial Economics D44 G10 G13
Discussion paper DP8313 Hedging and Vertical Integration in Electricity Markets Gilles Chemla Nizar Touzi René Aïd Arnaud Porchet 1 Apr 2011 Financial Economics Industrial Organization D21 G13 G32 G34 I11
Discussion paper DP8268 Variance risk, financial intermediation, and the cross-section of expected option returns Alexandre Ziegler Norman Schürhoff 21 Feb 2011 Financial Economics G12 G13 G24
Discussion paper DP7772 The Forward Premium Puzzle and Latent Factors Day by Day Casper de Vries Jurgen von Hagen Kerstin Bernoth 4 Apr 2010 International Macroeconomics F31 F37 G13
Discussion paper DP7686 Improving Portfolio Selection Using Option-Implied Volatility and Skewness Victor DeMiguel Yuliya Plyakha Raman Uppal Grigory Vilkov 14 Feb 2010 Financial Economics G11 G12 G13 G17
Discussion paper DP7676 Performance Maximization of Actively Managed Funds Gur Huberman Paolo Guasoni Zhenyu Wang 7 Feb 2010 Financial Economics G11 G12 G13 G14
Discussion paper DP7619 Valuation of VIX Derivatives Enrique Sentana Javier Mencía 10 Jan 2010 Financial Economics G13
Discussion paper DP7513 Macro-Hedging for Commodity Exporters Olivier Jeanne Eduardo Borensztein Damiano Sandri 25 Oct 2009 International Macroeconomics C61 E21 F30 F40 G13
Discussion paper DP7477 Indeterminacy of Competitive Equilibrium with Risk of Default Pietro Reichlin Gaetano Bloise Mario Tirelli 27 Sep 2009 International Macroeconomics D50 D52 D61 E44 G13
Discussion paper DP7327 Limits to Arbitrage and Hedging: Evidence from Commodity Markets Viral Acharya Lars Lochstoer 14 Jun 2009 Financial Economics G12 G13
Discussion paper DP6779 Asset Prices, Debt Constraints and Inefficiency Pietro Reichlin Gaetano Bloise 23 Apr 2008 International Macroeconomics D50 D52 D61 E44 G13